Related papers: TimeBoost: Do Ahead-of-Time Auctions Work?
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
In display advertising, a small group of sellers and bidders face each other in up to 10 12 auctions a day. In this context, revenue maximisation via monopoly price learning is a high-value problem for sellers. By nature, these auctions are…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…
We study how AI agents form expectations and trade in experimental asset markets. Using a simulated open-call auction populated by autonomous Large Language Model (LLM) agents, we document three main findings. First, AI agents exhibit…
The connection between games and no-regret algorithms has been widely studied in the literature. A fundamental result is that when all players play no-regret strategies, this produces a sequence of actions whose time-average is a…
Online auctions have expanded rapidly over the last decade and have become a fascinating new type of business or commercial transaction in this digital era. Here we introduce a master equation for the bidding process that takes place in…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the…
There are several mining algorithms of association rules. One of the most popular algorithms is Apriori that is used to extract frequent itemsets from large database and getting the association rule for discovering the knowledge. Based on…
Investigating potential purchases is often a substantial investment under uncertainty. Standard market designs, such as simultaneous or English auctions, compound this with uncertainty about the price a bidder will have to pay in order to…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
In markets such as digital advertising auctions, bidders want to maximize value rather than payoff. This is different to the utility functions typically assumed in auction theory and leads to different strategies and outcomes. We refer to…
Bidding strategies that help advertisers determine bidding prices are receiving increasing attention as more and more ad impressions are sold through real-time bidding systems. This paper first describes the problem and challenges of…
Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…
When decision makers evaluate a sequence of rewards, they may pay more attention to larger rewards and, given attention is limited, less attention to smaller rewards. They may also become less attentive to each reward when attention is…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…
Simultaneous item auctions are simple procedures for allocating items to bidders with potentially complex preferences over different item sets. In a simultaneous auction, every bidder submits bids on all items simultaneously. The allocation…
The optimization of bidding strategies for online advertising slot auctions presents a critical challenge across numerous digital marketplaces. A significant obstacle to the development, evaluation, and refinement of real-time autobidding…
This paper studies inference in first-price and second-price sealed-bid auctions with many bidders, using an asymptotic framework where the number of bidders increases while the number of auctions remains fixed. Our approach enables…
Auctions have been proposed as a way to provide economic incentives for primary users to dynamically allocate unused spectrum to other users in need of it. Previously proposed schemes do not take into account the fact that the power…